Solving the price puzzle with an alternative indicator of monetary policy

We identify the effects of monetary policy shocks on macroeconomic variables in VARs using the Divisia M4 measure of money as the policy indicator variable. We obtain theoretically sensible responses—whether or not a commodity price index is included. Thus, we eliminate the well-known empirical puzzles from the VAR by a novel choice in a policy variable, rather than the usual attachment of an ad hoc variable.

MoreLess

Year of publication:	2014
Authors:	Keating, John W. ; Kelly, Logan J. ; Valcarcel, Victor J.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 2, p. 188-194
Publisher:	Elsevier
Subject:	Monetary policy shocks \| Structural VAR \| Divisia

More details

Type of publication:	Article
Classification:	E30 - Prices, Business Fluctuations, and Cycles. General ; E31 - Price Level; Inflation; Deflation ; E65 - Studies of Particular Policy Episodes
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011041586